Day of the Week Effect in Indian Automobile Sector With Reference To BSE Auto Index

The study investigates the existence of the day of the week effect in India�s Automobile sector. The study utilises the Daily return data of the Bombay Stock Exchange�s Auto Index for the period ranging from April 2004 to March 2015 for analysis. The collected secondary data are analysed by applying Descriptive statistics and Ordinary Least Square (OLS). The outcomes of the study confirm the existence of seasonality in stock returns in India and prevalence of the day of the week effect in Automobile sector. The outcomes of the study confirm that the stock market for the Indian automobile sector is inefficient. Hence, investors can time their share investments to improve returns.